RFE: Resources for Economists on the Internet

TickPlus Data

This data, which basically records each trade and its time, is offered
by Regisdata Ltd. of the U.K. They offer such data for German stocks,
many FTSE indices, various NASDAQ stocks, LSE futures, various commodity
and financial futures, foreign exchange, and metals. While there are
fees, they seem quite reasonable. While they stopped collecting data in 2010, data prior to this date is still available.